风格漂移对我国开放式基金绩效影响的实证研究

发布时间：2018-04-22 00:24

本文选题：开放式基金 + 风格漂移　；参考：《天津商业大学》2014年硕士论文

【摘要】：2004年《基金法》的颁布实施为我国基金业的发展奠定了法制基础，我国基金业的监管日趋完善，基金投资者的行为也逐渐规范，我国的基金行业进入了一个全新的迅猛的发展阶段。基金业的快速发展特别是开放式基金的崛起使基金业成为金融行业中发展最快的子行业。同时，随着基金数目的不断增加，基金行业的竞争也日趋激烈，为了满足不同类型投资者的需求，基金公司推出不同投资风格和投资策略的基金以区别于其他基金。但是在基金的实际投资中基金并不能坚守自己所宣称的投资风格，这就是本文所研究的基金风格漂移现象。基金投资风格漂移不但违背了基金契约精神，而且使得投资者承受了与自身承受能力不相符的风险。因此本文对我国基金的投资风格漂移识别及投资风格漂移基金绩效影响的研究具有重要的现实意义。首先，本文对国内外投资风格漂移及投资风格漂移对基金绩效影响方面的相关文献进行了梳理；其次，本文运用信息经济学和行为金融学理论对风格漂移的成因进行了阐述，并重点介绍了基金投资风格的事后识别方法，然后运用基于收益率的Gruber回归模型对金融危机后的三个时期我国开放式股票型基金的投资风格漂移情况进行了研究；最后，本文重点介绍了风格漂移对基金绩效影响的理论，并运用Gruber模型中的α指标和Sharp比率对风格漂移后的基金绩效进行了衡量，最后并分析了风格漂移的原因。本文研究显示：第一、我国开放式股票型基金在金融危机后的三个时期普遍存在风格漂移现象，没有表现出固定的投资风格。第二、在金融危机后的上升时期基金普遍表现出大中盘平衡型风格，震荡整理时期基金风格有所分化，下跌时期主要表现为大中盘成长型，存在风格趋同现象。第三，投资风格漂移对基金绩效影响方面的实证分析表明，，在市场上升时风格漂移有助于基金绩效的提高，在下跌和整理时期则会削弱基金绩效。
[Abstract]:The promulgation and implementation of the Fund Law in 2004 has laid a legal foundation for the development of the fund industry in China. The supervision of the fund industry in our country has become more and more perfect, and the behavior of fund investors has been gradually standardized. China's fund industry has entered a new rapid development stage. With the rapid development of fund industry, especially the rise of open-end funds, fund industry has become the fastest-growing sub-industry in financial industry. At the same time, with the increasing number of funds, the competition of fund industry is becoming more and more fierce. In order to meet the needs of different types of investors, fund companies introduce different investment styles and investment strategies of funds to distinguish them from other funds. But in the actual investment of the fund, the fund can not stick to its own investment style, which is the phenomenon of the drift of the fund style studied in this paper. The drift of fund investment style not only violates the spirit of fund contract, but also makes investors bear the risk which is inconsistent with their bearing ability. Therefore, this paper has important practical significance for the identification of investment style drift and the influence of investment style drift fund performance. First of all, this paper combs the relevant literature on investment style drift and the influence of investment style drift on fund performance. Secondly, this paper uses the theory of information economics and behavioral finance to explain the causes of style drift. Then the paper studies the drift of the investment style of open-end stock funds in three periods after the financial crisis by using the Gruber regression model based on the rate of return. This paper mainly introduces the theory of the influence of style drift on fund performance, and measures the fund performance after style drift by using 伪 index and Sharp ratio in Gruber model, and finally analyzes the reasons of style drift. The research shows that: first, there is a general phenomenon of style drift in the three periods after the financial crisis, and there is no fixed investment style. Secondly, in the rising period after the financial crisis, the fund generally displayed the balanced style of the large and middle disk, the fund style was differentiated in the period of concussion and collation, and in the period of decline, it mainly showed the growth type of the large and middle disk, and there existed the phenomenon of convergence of styles. Thirdly, the empirical analysis on the influence of investment style drift on fund performance shows that style drift helps to improve fund performance when the market rises, and weakens fund performance in the period of decline and consolidation.
【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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